Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hengtong Optic-Electric Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hengtong Optic-Electric Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.8%, MDD -61.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.3%, drawdown -79.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.6%, MDD -71.2%, Sharpe 0.73, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 8.6%p (CAGR 18.8%, MDD -61.7%, exposure 54%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=34, exitN=50 |
21.6% | -71.2% | 0.73 | 0.30 | 90.8x | 46 | 58% |
| SMA 크로스오버 fast=56, slow=138 |
18.8% | -61.7% | 0.66 | 0.31 | 53.1x | 31 | 54% |
| EMA 크로스오버 fast=31, slow=46 |
16.5% | -62.5% | 0.61 | 0.26 | 33.6x | 70 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=1.3 |
15.4% | -64.7% | 0.61 | 0.24 | 27.1x | 140 | 44% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
14.1% | -47.8% | 0.59 | 0.30 | 20.9x | 86 | 38% |
| ROC 모멘텀 n=145, threshold=-0.03 |
15.3% | -77.1% | 0.57 | 0.20 | 26.7x | 147 | 59% |
| Supertrend period=23, mult=3.4 |
14.1% | -60.3% | 0.57 | 0.23 | 20.8x | 121 | 49% |
| ADX / DI 방향성 period=21, threshold=26 |
7.4% | -41.6% | 0.44 | 0.18 | 5.2x | 78 | 17% |
| Parabolic SAR step=0.005, maxStep=0.2 |
6.9% | -73.1% | 0.37 | 0.09 | 4.7x | 185 | 49% |
| MACD fast=18, slow=23, signal=16 |
2.5% | -73.9% | 0.24 | 0.03 | 1.8x | 323 | 53% |
| Buy and hold | 16.3% | -79.8% | 0.57 | 0.20 | 32.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 34 days
- Sell — Sell when price breaks below the lowest low of the last 50 days